Preheat the oven to 425 degrees F. Line two baking sheets with parchment paper.
Set the frozen spinach out on a plate at room temperature to soften slightly.
Melt the butter in a large pot over medium heat. Add the onion and a pinch of salt. Cook, stirring often, until the onion is soft and translucent, 5 to 7 minutes. Add the garlic and a few turns of black pepper and cook until fragrant, 1 more minute. Add the flour and stir to combine, then stir in the spinach and a good pinch of salt. Cook, stirring, until the spinach is heated through and the mixture is combined. Stir in the feta, heavy cream, lemon juice and hot sauce, then remove it from the heat. Taste and adjust seasonings as desired.
Roll out half of the pie dough on a lightly floured surface until it is a large round, about 1/4 inch thick. (If using store-bought pre-rolled dough, simply unroll it onto your surface.) Spread on half the spinach mixture in an even layer so that it covers the dough. Using a pizza cutter or knife, cut the dough like a pizza into 8 triangular wedges. Roll up each section starting at the wide end. Transfer the rugelach to the lined baking sheets, placing them 1 inch apart. Repeat with the other half of the dough and spinach filling.
Lightly brush the tops with egg wash and sprinkle with sea salt.
Bake until golden brown, about 20 minutes. Let cool slightly and enjoy. Store leftovers in the fridge and reheat in a toaster oven.